{-------------------------------------------------------------------------------
 Trading Strategy Code
 Population member: 0
 Max bars back: 24

 Created by: Adaptrade Builder version 4.1.0.0
 Created:    2/26/2022 4:32:28 PM

 Scripting language: TradeStation 6 or newer

 Symbol:  @ES#C 1 Day (Daily bars), Primary (Data1)
          (C:\..\@ES#C 1 Day.txt)

 Build dates: 9/4/2000 to 1/2/2013

 Project file: C:\..\SimpleBreakout.gpcode
-------------------------------------------------------------------------------}

{ Strategy inputs }
Inputs: NL1 (5),          { Indicator look-back length (bars), long trades }
        NL2 (25),         { Indicator look-back length (bars), long trades }
        NS1 (5),          { Indicator look-back length (bars), short trades }
        NS2 (25),         { Indicator look-back length (bars), short trades }
        NBarEnL1 (3),     { Indicator look-back length (bars), long trades }
        NTargL1 (10),     { Indicator look-back length (bars), long trades }
        NTargL2 (10),     { Indicator look-back length (bars), long trades }
        TargFrL (1.0000), { Multiple of price difference (e.g., ATR); exit, long trades }
        NMML1 (10),       { Indicator look-back length (bars), long trades }
        NMML2 (10),       { Indicator look-back length (bars), long trades }
        MMFrL (1.0000),   { Multiple of price difference (e.g., ATR); exit, long trades }
        NBarEnS1 (3),     { Indicator look-back length (bars), short trades }
        NMMS1 (10),       { Indicator look-back length (bars), short trades }
        NMMS2 (10),       { Indicator look-back length (bars), short trades }
        MMFrS (1.0000),   { Multiple of price difference (e.g., ATR); exit, short trades }
        NTargS1 (10),     { Indicator look-back length (bars), short trades }
        NTargS2 (10),     { Indicator look-back length (bars), short trades }
        TargFrS (1.0000), { Multiple of price difference (e.g., ATR); exit, short trades }
        PSParam (1.00),   { Position sizing parameter value }
        RoundPS (true),   { Round-to-nearest (true/false) }
        RoundTo (1),      { Round-to position size value }
        MinSize (1),      { Minimum allowable position size }
        SizeLimit (100);  { Maximum allowable position size }

{ Variables for entry and exit prices }
Var:    EntPrL   (0),
        EntPrS   (0),
        TargPrL  (0),
        TargPrS  (0),
        LStop    (0),
        SStop    (0);

{ Variables for entry and exit conditions }
Var:    VarL1     (0),
        VarL2     (0),
        VarS1     (0),
        VarS2     (0),
        EntCondL  (false),
        EntCondS  (false);

{ Variables for position sizing }
Var:    NShares  (0);

{ Entry prices }
EntPrL = Highest(H, NBarEnL1);
EntPrS = Lowest(L, NBarEnS1);

{ Entry and exit conditions }
VarL1 = Average(C, NL1);
VarL2 = Average(C, NL2);
VarS1 = Average(C, NS1);
VarS2 = Average(C, NS2);
EntCondL = VarL1 > VarL2;
EntCondS = VarS1 < VarS2;

{ Position sizing calculations }
NShares = PSParam;

If RoundPS and RoundTo > 0 then
    NShares = IntPortion(NShares/RoundTo) * RoundTo;

NShares = MaxList(NShares, MinSize);
NShares = MinList(NShares, SizeLimit);

{ Entry orders }
If MarketPosition = 0 and EntCondL then begin
    Buy("EnStop-L") NShares shares next bar at EntPrL stop;
end;

If MarketPosition = 0 and EntCondS then begin
    Sell short("EnStop-S") NShares shares next bar at EntPrS stop;
end;

{ Exit orders, long trades }
If MarketPosition = 1 then begin
    If BarsSinceEntry = 0 then begin
        LStop = EntryPrice - MMFrL * (Highest(H, NMML1) - Lowest(L, NMML2));
    end;

    Sell("ExStop-L") next bar at LStop stop;

    TargPrL = EntryPrice + TargFrL * (Highest(H, NTargL1) - Lowest(L, NTargL2));
    Sell("ExTarg-L") next bar at TargPrL limit;
end;

{ Exit orders, short trades }
If MarketPosition = -1 then begin
    If BarsSinceEntry = 0 then begin
        SStop = EntryPrice + MMFrS * (Highest(H, NMMS1) - Lowest(L, NMMS2));
    end;

    Buy to cover("ExStop-S") next bar at SStop stop;

    TargPrS = EntryPrice - TargFrS * (Highest(H, NTargS1) - Lowest(L, NTargS2));
    Buy to cover("ExTarg-S") next bar at TargPrS limit;
end;